Option pricing methods: an overview

DOI10.1016/0167-6687(88)90071-6zbMath0665.90009OpenAlexW2027571898MaRDI QIDQ1116873

Cynthia van Hulle

Publication date: 1988

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6687(88)90071-6

zbMATH Keywords

option pricingdiffusion processarbitragemarket imperfectionsbinomial processdividendsmimickingoption boundsdiscrete and continuous tradingfirst stochastic dominancerisk-neutral valuation relationship

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

A generalization of the binomial distribution

Cites Work

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• Patents as Options: Some Estimates of the Value of Holding European Patent Stocks
• An Intertemporal Capital Asset Pricing Model
• Option pricing when underlying stock returns are discontinuous
• Option pricing: A simplified approach

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